Sergei Siyanko

Dr Sergei Siyanko

Department of Mathematics
University College London
Gower Street, London WC1E 6BT
United Kingdom
e-mail: sergei.siyanko.10(at)alumni.ucl.ac.uk

Research

Pricing in incomplete markets with jumps and, in particular, when jumps are directed towards fundamental value of the stock; asymptotic methods for pricing Asian derivatives.

Education

University College London. PhD in Mathematics. Supervisor: Prof W. Shaw. 2011 - 2016.
King's College London. MPhil/PhD in Applied Mathematics Reseach. Supervisor: Prof W. Shaw. 2008 - 2010.
King's College London. MSc in Financial Mathematics. Supervisor: Dr A. Jack. 2005 - 2007.
Moscow Institute of Physics and Technology. MSc in Microelectronics. Supervisor: Prof V. A. Kaloshin. 1988 - 1994.

Publications

Siyanko S., Essentially exact asymptotic solutions for Asian derivatives. European Journal of Applied Mathematics, 2012, v23, Issue 03, pp 395-415 doi:10.1017/S0956792511000441. Implementations in Mathematica: alphacase.nb, betacase.nb.
Kaloshin V. A., Siyanko S. Yu., Diffraction of an electromagnetic wave by a one-dimensionally periodic array of metal spirals. Tech. Physics Letters (ISSN 1063-7850), 1994, v20, Issue11, p884, pdf version is available from the Ioffe Institute website.